This report shows the baseline and robustness results from the empirical exercise in the paper “Do local and foreign newspapers unveil the same economic policy uncertainty shocks?” by E. Andres-Escayola, C. Ghirelli, L. Molina, J.J. Perez, and E. Vidal. In particular, here we report the impulse response functions from the Bayesian VAR model. Please refer to the paper for specific details.
Prepared by E. Andres-Escayola
Chart 1
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
Chart 1
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
Chart 1
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
Chart 1
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
Chart 2
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
Chart 2
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
Chart 2
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
Chart 2
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
Press comparison with/without common factor
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. The local press corresponds to the red chart, the Spanish to the black one, and the Anglo-saxon to the blue one. We report the median response with the corresponding 84%-16% credible sets for 15 periods.
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. The local press corresponds to the red chart, the Spanish to the black one, and the Anglo-saxon to the blue one. We report the median response with the corresponding 84%-16% credible sets for 15 periods.
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. The local press corresponds to the red chart, the Spanish to the black one, and the Anglo-saxon to the blue one. We report the median response with the corresponding 84%-16% credible sets for 15 periods.
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. The local press corresponds to the red chart, the Spanish to the black one, and the Anglo-saxon to the blue one. We report the median response with the corresponding 84%-16% credible sets for 15 periods.
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. The local press corresponds to the red chart, the Spanish to the black one, and the Anglo-saxon to the blue one. We report the median response with the corresponding 84%-16% credible sets for 15 periods.
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. The local press corresponds to the red chart, the Spanish to the black one, and the Anglo-saxon to the blue one. We report the median response with the corresponding 84%-16% credible sets for 15 periods.